Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0078
Annualized Std Dev 0.2293
Annualized Sharpe (Rf=0%) 0.0342

Row

Daily Return Statistics

Close
Observations 3903.0000
NAs 1.0000
Minimum -0.1481
Quartile 1 -0.0052
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0064
Maximum 0.1215
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0144
Skewness -0.7859
Kurtosis 15.0080

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0101
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6798
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0223
Modified ES (95%) -0.0472
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6798 3369 339 NA
2007-07-24 2007-08-16 2007-10-05 -0.1170 53 18 35
2006-05-10 2006-06-13 2006-09-27 -0.0924 98 24 74
2007-02-27 2007-03-05 2007-04-03 -0.0787 26 5 21
2005-10-03 2005-10-20 2005-11-23 -0.0682 38 14 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA 0.1 0.4 1.1 -0.5 1.1
2006 0.4 0.1 -0.6 -0.1 0.6 0.7 -0.4 -0.1 -0.6 -0.1 -0.7 -0.4 -1.1
2007 0.6 -1 -0.1 -0.1 0.5 0.3 -1.4 1.8 1.2 -2.5 0.6 -1.6 -1.6
2008 1.9 -2.8 3 0.7 0.4 -1 -1 -0.5 -0.3 0.7 -9.1 1.2 -7.1
2009 -2.2 -1.7 2.8 1.4 2.1 0.9 1.3 -2.5 -2.7 -3.1 2.4 -0.2 -1.9
2010 1.4 0.5 1.4 -0.8 -1.3 0.8 0.4 2.4 0.9 -0.1 2 0.1 7.8
2011 1.5 -0.7 1.1 0.4 -1.6 0.9 -0.3 -0.4 -1.7 -2.5 -0.4 0.7 -3.2
2012 1.3 1.1 0.7 0.4 -1.4 2.7 0 0.6 0.6 0.9 0.2 1.3 8.8
2013 0.4 -0.1 -0.3 -0.8 -1.8 0.6 0.9 -0.5 0.4 -0.3 0.6 0.5 -0.4
2014 -0.7 0.1 0.3 0.2 -0.1 0.5 -0.1 0.1 -1.1 0.5 -0.4 -0.7 -1.2
2015 -0.9 0.2 0.7 0.8 -0.7 -0.5 0 -3.9 0.1 -0.1 0.5 -0.4 -4.2
2016 -0.5 2.4 -1.2 -0.3 -0.3 0.4 -1.3 0.3 0.8 -0.8 -0.3 0.3 -0.6
2017 -0.4 0.6 0.3 -0.1 0.9 0.5 0.3 0.6 0.2 -0.1 0.6 0 3.6
2018 0.4 -0.3 1.2 -0.4 0.4 1.5 -0.2 -0.6 1 2.4 -0.3 0 5.1
2019 0.1 -0.1 1.3 -0.8 -0.6 0.5 -0.3 0.6 -1.2 0.8 -0.7 0.3 -0.1
2020 -1.9 -1.8 -3.6 -4.1 2.1 0.2 -1.2 0.9 0.6 -0.2 1.3 -0.1 -7.7
2021 0.8 1.8 0.4 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-09-15  15.0 SPY    123. -0.0005   -0.0028   0.0077  0.0144    0.0885    0.37    -0.178 GLD    45.4  0.0102   0.0184
2 2005-09-16  15.1 SPY    124.  0.0071   -0.0046   0.0149  0.0219    0.0961    0.412   -0.171 GLD    45.8  0.0088   0.0219
3 2005-09-19  15.1 SPY    123. -0.0033   -0.0101   0.0074  0.0139    0.0944    0.416   -0.171 GLD    46.2  0.0094   0.0303
4 2005-09-20  15.0 SPY    122. -0.0084   -0.013   -0.0034  0.00480   0.0805    0.441   -0.180 GLD    46.2 -0.0004   0.0375
5 2005-09-21  15.0 SPY    121. -0.00930  -0.0187  -0.0127 -0.0054    0.0839    0.433   -0.186 GLD    47.1  0.018    0.0467
6 2005-09-22  14.9 SPY    121.  0.0036   -0.0147  -0.0074  0.0123    0.0936    0.450   -0.169 GLD    46.4 -0.0149   0.0207
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart